Brieuc Monfort, Mr.Christian B. Mulder
Description
The Basel Committee on Banking Supervision has proposed linking capital requirements for bank loans to ratings by commercial credit rating agencies. E
...
stimates for 20 emerging market economies show that sovereign ratings react procyclically to crisis indicators. Ratings deteriorate if the real effective exchange rate depreciates, in contrast with the positive effect on overall debt service capacity depreciations are normally supposed to have. Simulations show that linking capital requirements to ratings would have drastically increased these requirements during the crisis periods after decreasing them in the run up to the crises. Simulations suggest modest efficiency gains of using sovereign credit ratings for capital requirements on emerging market lending.
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Genres
Business & Economics
Tags
Business & Economics
Industries
Finance
Financial Services
Foreign Exchange
Reading Moods
Inspiring & Uplifting
Optimistic & Positive
Contributors
No contributors specified
Publishing Info
Publisher
International Monetary Fund
Month-Year
Mar, 2000
ISBN
ISBN-13: 9781451849059
ISBN-10: 1451849052
Language
English
No. of Pages
45
Format
Paperback
Awards & Recognition
No awards specified
Available at
No purchase options available
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